Deep Field Capital AG : Intraday Crisis Alpha Program (ICA)

Year-to-Date
1.33%
Oct Performance
-2.10%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
7.17%
Sharpe (RFR=1%)
0.91
CAROR
7.53%
Assets
$ 22.0M
Worst DD
-6.00
S&P Correlation
-0.27

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Oct Qtr YTD 1yr 3yr 5yr 10yr Since
5/2017
Intraday Crisis Alpha Program (ICA) -2.10 -0.58 -1.33 -1.56 - - - 19.91
S&P 500 2.04 1.92 21.16 12.01 - - - 24.66
+/- S&P 500 -4.14 -2.50 -22.49 -13.57 - - - -4.75

Strategy Description

Summary

In the Intraday Crisis Alpha Program (ICA) takes directional long and short trades during the US and Asian intraday sessions in US and Asian equity index futures (latter since 01/2019) soon to be complemented by the European intraday session (04/2019).... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
5.00
Management Fee
1.00%
Performance Fee
25.00%
Average Commission
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
7400 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
-5.87%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
100.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Momentum
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

In the Intraday Crisis Alpha Program (ICA) takes directional long and short trades during the US and Asian intraday sessions in US and Asian equity index futures (latter since 01/2019) soon to be complemented by the European intraday session (04/2019).

Investment Strategy

ICA is a pure intraday momentum program, focusing on large tail events in global equity indices, aiming to stay away from the average daily trading ranges that tend to be mean reverting. ICA is designed to benefit from big intraday moves to the upside as well as downside, generating pure alpha and providing hedging capabilities in times of crisis without the usual cost of an insurance premium. ICA lends itself well as portable alpha, not holding any overnight positions and requiring only little intraday margin. While the program has initially been developed and traded on the S&P 500 futures it has matured into a truly global program trading the uncorrelated intraday sessions in the US and Asia (latter since 01/2019) soon to be complemented by European markets (scheduled for 04/2019).

Risk Management

Trade generation, execution and risk management is electronic and automated, utilizing in-house proprietary software.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-6.00 7 - 3/1/2019 10/1/2019
-1.30 1 2 10/1/2018 11/1/2018
-1.09 5 1 8/1/2017 1/1/2018
-0.76 3 1 6/1/2018 9/1/2018
-0.28 2 1 5/1/2017 7/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
19.78 5 2/1/2018 6/1/2018
6.10 4 12/1/2018 3/1/2019
1.69 1 8/1/2017 8/1/2017
1.55 2 8/1/2019 9/1/2019
1.46 1 10/1/2018 10/1/2018
0.70 1 5/1/2017 5/1/2017
0.28 1 6/1/2019 6/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.72 2 4/1/2019 5/1/2019
-2.10 1 10/1/2019 10/1/2019
-2.08 1 7/1/2019 7/1/2019
-1.30 1 11/1/2018 11/1/2018
-1.09 5 9/1/2017 1/1/2018
-0.76 3 7/1/2018 9/1/2018
-0.28 2 6/1/2017 7/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods30.0028.0025.0019.0013.00
Percent Profitable50.0064.2984.0089.47100.00
Average Period Return0.632.174.8812.3818.69
Average Gain2.014.146.4513.9418.69
Average Loss-0.76-1.39-3.40-0.89
Best Period8.0015.7519.6721.6825.98
Worst Period-2.28-4.04-4.60-1.562.56
Standard Deviation2.074.597.098.467.02
Gain Standard Deviation2.004.556.627.487.02
Loss Standard Deviation0.861.451.180.95
Sharpe Ratio (1%)0.260.420.621.342.45
Average Gain / Average Loss2.662.981.9015.69
Profit / Loss Ratio2.665.379.96133.36
Downside Deviation (10%)1.011.792.542.311.40
Downside Deviation (5%)0.831.281.610.65
Downside Deviation (0%)0.791.171.420.36
Sortino Ratio (10%)0.220.520.953.207.93
Sortino Ratio (5%)0.651.502.7117.49
Sortino Ratio (0%)0.791.863.4334.21

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 10 1.39 8/2019
Stock Index Trader Index Month 5 2.74 2/2019
Stock Index Trader Index Month 5 2.74 2/2019
Stock Index Trader Index Month 5 2.74 2/2019

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.